Commission Implementing Decision (EU) 2021/85 of 27 January 2021 on the equivalence to the requirements of Regulation (EU) No 648/2012 of the European Parliament and of the Council of the regulatory framework of the United States of America for central counterparties that are authorised and supervised by the U.S. Securities and Exchange Commission (Text with EEA relevance)

Article 1

For the purposes of Article 25 of Regulation (EU) No 648/2012, the legal and supervisory arrangements of the United States of America for central counterparties (CCPs) which must comply with the rules applicable to covered clearing agencies laid down in Sections 3(a)(23) and 17A of the Securities Exchange Act of 1934, in Titles VII and VIII of the Dodd-Frank Wall Street Reform and Consumer Protection Act and in regulations adopted by the U.S. Securities and Exchange Commission thereunder, shall be considered equivalent to the requirements laid down in Regulation (EU) No 648/2012 where the internal rules and procedures of such a CCP include specific risk management measures ensuring that initial margins are calculated and collected on the basis of the following parameters:

• (a) in the case of derivative contracts executed on regulated markets, a liquidation period of 2 days calculated on a net basis;

• (b) in the case of OTC derivative contracts, a liquidation period of 5 days calculated on a net basis;

• (c) in the case of mortgage-backed securities traded on To-Be-Announced basis, a liquidation period of three days calculated on a net basis;

• (d) in the case of contracts as referred to in points (a), (b) and (c), measures designed to limit procyclicality equivalent to at least one of the following:
• (i) measures applying a margin buffer at least equal to 25 % of the calculated margins which the central counterparty allows to be temporarily exhausted in periods where calculated margin requirements are rising significantly;
• (ii) measures assigning at least 25 % weight to stressed observations in the look-back period;
• (iii) measures ensuring that margin requirements are not lower than those that would be calculated using volatility estimated over a 10 year historical look-back period.

Article 2

No later than 3 years after the date of entry into force of this Decision and then no later than every 3 years after each previous review under this Article, the Commission shall undertake a review of the grounds on which the determination under Article 1 was made.

Article 3

This Decision shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.